【作者】 林丰德；

【导师】 李志辉；

【作者基本信息】 南开大学 ， 金融学， 2009， 博士

【摘要】 近年来,对于金融机构效率的评估,学者认为应考量个别金融机构所承担的风险程度,以反映其真实的经营效率。本文将金融机构所面临的风险,划分为管理者可控制的内部风险及不可控制的外部风险。对于内部风险,本文以Basel II的风险性应计提资本(risk-based capital requirement)及最低资本充足要求(minimal capital adequacy requirement)作为衡量银行内部风险的客观指标,估算考量内部风险下的金融机构效率；而对于无法掌控的银行基本特征及宏观经济环境等外部风险因素,本文利用三阶段的数据包络法排除其影响,使所有决策单位在同一起点上进行效率评估。此外,新巴塞尔协议的资本充足管制虽能在一定程度上避免金融机构发生倒闭的危机,但也会影响金融机构的产品结构及质量,同时也改变了金融机构的效率表现。本文研究样本为我国14家上市银行,研究期间为2004年至2008年。本研究第一阶段采用新巴塞尔协议的标准法,并利用各银行公布的资本充足率,估算我国银行的信用风险、市场风险、操作风险以及调整后的资本充足率,以作为第二阶段效率分析的风险投入变量；第二阶段则利用数据包络法、修正的数据包络法以及以差额变量为基础的超效率评估模型,解决效率值排名问题,并估算经风险调整前后的我国银行效率,而后讨论我国银行的规模效率及影响效率表现的因素,利用数据包络法、以差额变量为基础的效率评估模型、修正的资料包络法以及以差额变量为基础的超效率评估模型,估算经内部风险调整后的我国银行的效率,第三阶段则以三阶段数据包络法,排除外在环境变量的影响,评估我国银行调整内、外部风险后的效率表现；最后,讨论资本充足限制对我国银行效率表现的影响。实证步骤分为三个阶段：第一阶段采用新巴塞尔协议的标准法,在采用组合-正态模型计算市场风险资产的基础上,再用新巴塞尔协定的标准法,利用各银行公布的资本充足率,估算我国银行的信用风险应计提资本、操作风险应计提资本以及调整后的资本充足率,以作为第二阶段效率分析的风险投入变量。第二阶段则分别以新巴塞尔协议规定的各项风险应计提资本及调整后的资本充足率作为风险投入因数,利用数据包络法及以差额变量为基础的效率评估模型,估算经过内部风险调整的我国银行效率,但由于数据包络法及以差额变量为基础的效率评估模型会产生多个效率值为1的情形,因此再利用修正的数据包络法解决此问题,而修正的数据包络法会有无法估计的状况发生,故采用以差额变量为基础的超效率模型评估我国银行调整内部风险后的效率表现。第三阶段则以三阶段数据包络法,排除外在环境变量的影响,评估我国银行调整内、外部风险后的效率表现；最后,本文根据不同水平的上限值,讨论新巴塞尔协议资本充足限制对银行效率的影响。本文实证结果显示：(1)就各项风险应计提资本来看,市场风险的应计提资本近三年有逐年上升的趋势,且标准差也逐年加大,足见市场风险对各银行的影响越来越大；而信用风险占总风险性资产的比例最大,近年来所占比例亦有逐年上升的趋势；另外,操作风险则随各银行每年的营业额高低而有所变动。通过资产置换和转让、资产重组以及资产证券化等方式盘活不良贷款,实现其有效控制和化解,是提高资产充足率的有效途径。(2)经风险调整后的我国银行效率值高于调整前我国银行的效率值。(3)当资本充足限制越严格,我国银行的平均效率越低；资本充足限制越宽松,我国银行的平均效率值越高,这与预期结果相符合,但差异性并不显著。因此,虽然资本充足限制能够避免金融危机的发生,但同时也降低了我国银行的效率表现。(4)我国商业银行已无法依靠传统的放款业务维持其生存,应致力于拓展传统银行业务以外的其他营业收入,并且积极的进行风险管理。更多还原

【Abstract】 The purpose of our analysis is two-fold. First, we differentiate bank’s risk between the internal risk and the external risk. The internal risk is based on risk-based capital requirement and minimal capital adequacy requirement. The external risk is the factor uncontrollable but influence on bank efficiency. We take the bank’s characteristics and macro-economic variables as external risk factors in this paper. The second important objective of our analysis is investigate the effect of BaselⅡon bank’s performance.In this paper, we adopt DEA method and SBM method to estimate bank efficiency based on the information obtained from 14 banks in China for the period from 2005 to 2008.In the first stage, we employ the standard method of Basel II to calculate the risk as input variables for efficiency analysis. In second stage, we employ the BCC (Banker-Charnes-Cooper), SBM (Slacks-Based Measure), Super-Efficiency, and Super-SBM to estimate the scores relating bank efficiency which are incorporating account the internal risk. In third stage, we employ the three-stages DEA method to estimate the bank efficiency that is excluding internal risk and external risk. Finally, the un-discretionary variable model is employed to show the effect of BaselⅡon the scores relating bank efficiency.Our empirical results are summarized as follows:(1)The market risk is proven to be more important in recent years. The credit risk has the highest ratio of total risky capital, but the ratio has decreasing in recent years. Most the adjusted capital adequacy of China’s banks are large than 8%.(2) The average efficiency scores of banks incorporating account the internal risk are significantly higher than those of banks not incorporating account the internal risk, but the ranks are not significantly difference.(3)It is not significantly that the efficiency scores of banks with more strictly capital adequacy requirement are lower capital adequacy requirement (4) China’s commercial banking industry need to be paid high attention in non-operating income and risk management in order to improve the bank’s profit.更多还原